Trend-Following Backtester · Guide · backtest 한국어
equity · US
MongoDB, Inc. backtest
10 trend-following strategies were compared on the full daily history of MongoDB, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 36.9%, MDD -53.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 34.7%, drawdown -76.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 37.7%, MDD -59.9%, Sharpe 0.89, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 16.7%p (CAGR 36.9%, MDD -53.4%, exposure 60%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=36, exitN=40 |
37.7% | -59.9% | 0.89 | 0.63 | 17.1x | 21 | 62% |
| SMA 크로스오버 fast=57, slow=127 |
36.9% | -53.4% | 0.88 | 0.69 | 16.2x | 17 | 60% |
| ROC 모멘텀 n=67, threshold=0.03 |
32.6% | -61.5% | 0.82 | 0.53 | 12.2x | 85 | 60% |
| EMA 크로스오버 fast=35, slow=38 |
32.0% | -56.2% | 0.80 | 0.57 | 11.7x | 25 | 63% |
| Supertrend period=21, mult=4.9 |
27.8% | -70.2% | 0.75 | 0.40 | 8.8x | 25 | 63% |
| Parabolic SAR step=0.02, maxStep=0.16 |
24.6% | -55.3% | 0.70 | 0.44 | 7.0x | 183 | 54% |
| MACD fast=8, slow=38, signal=15 |
18.6% | -58.0% | 0.60 | 0.32 | 4.5x | 142 | 52% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=21, mult=1.5 |
11.8% | -44.5% | 0.50 | 0.26 | 2.7x | 83 | 32% |
| 볼린저 밴드 돌파 n=43, k=1.5 |
7.5% | -59.2% | 0.37 | 0.13 | 1.9x | 69 | 42% |
| ADX / DI 방향성 period=11, threshold=35 |
2.9% | -39.7% | 0.24 | 0.07 | 1.3x | 40 | 12% |
| Buy and hold | 34.7% | -76.5% | 0.78 | 0.45 | 14.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 36 days
- Sell — Sell when price breaks below the lowest low of the last 40 days